risk-metrics-calculation

To calculate VaR and CVaR for a multi-asset portfolio, you process your returns series to generate historical, parametric, and Cornish-Fisher VaR variants alongside conditional Value at Risk. This quantifies exposure across historical periods and live monitoring.

The best way to run stress testing on portfolio risk metrics is applying deterministic and Monte Carlo scenarios to your returns data. This evaluates your portfolio's risk profile across various time horizons to inform position sizing and risk limits.

Yes, you can calculate rolling risk and drawdown analysis for a single asset. The calculation supports both single-asset and multi-asset portfolios, allowing you to monitor volatility and maximum drawdowns across historical periods.

To evaluate portfolio performance you need risk-adjusted ratios including Sharpe, Sortino, Calmar, and Omega. These metrics quantify risk-adjusted performance by comparing returns against volatility and drawdown exposure.

Portfolio risk calculation works with both historical periods and live monitoring. It processes your returns series to continuously quantify exposure, track drawdowns, and update risk-adjusted metrics across time horizons.